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FINRA-ICE Data Services Structured Trading Activity Reports

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

JUNE Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA/UMBS
AVERAGE PRICE 100.3 101.7 102.9 103.6 * 0.0 0.0
Weighted Avg. Price 100.4 101.7 102.9 103.6 * 0.0 0.0
Avg. Price Bottom 5 Trades 98.8 101.6 102.8 103.5 * 0.0 0.0
2nd Quartile Price 100.4 101.7 102.9 103.6 * 0.0 0.0
3rd Quartile Price 100.4 101.7 102.9 103.6 * 0.0 0.0
4th Quartile Price 100.4 101.7 102.9 103.6 * 0.0 0.0
Avg. Price Top 5 Trades 100.5 101.8 103.0 103.8 * 0.0 0.0
Standard Deviation 0.4 0.1 0.0 0.1 * 0.0 0.0
     VOLUME OF TRADES (000'S) 2,679,790.8 2,931,987.7 2,009,923.4 549,447.2 * 0.0 0.0
     NUMBER OF TRADES 117 135 136 63 * 0 0
FHLMC
AVERAGE PRICE * 0.0 * 103.7 0.0 0.0 0.0
Weighted Avg. Price * 0.0 * 103.7 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * 0.0 * 103.7 0.0 0.0 0.0
2nd Quartile Price * 0.0 * * 0.0 0.0 0.0
3rd Quartile Price * 0.0 * * 0.0 0.0 0.0
4th Quartile Price * 0.0 * * 0.0 0.0 0.0
Avg. Price Top 5 Trades * 0.0 * 103.7 0.0 0.0 0.0
Standard Deviation * 0.0 * 0.1 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) * 0.0 * 53,308.9 0.0 0.0 0.0
     NUMBER OF TRADES * 0 * 6 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
JULY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA/UMBS
AVERAGE PRICE 100.4 101.7 102.9 103.5 * 0.0 0.0
Weighted Avg. Price 100.4 101.7 102.9 103.5 * 0.0 0.0
Avg. Price Bottom 5 Trades 99.1 101.7 102.8 103.5 * 0.0 0.0
2nd Quartile Price 100.4 101.7 102.9 103.5 * 0.0 0.0
3rd Quartile Price 100.4 101.7 102.9 103.5 * 0.0 0.0
4th Quartile Price 100.4 101.7 102.9 103.6 * 0.0 0.0
Avg. Price Top 5 Trades 100.5 101.8 102.9 103.6 * 0.0 0.0
Standard Deviation 0.3 0.0 0.0 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) 3,192,664.2 4,638,683.2 3,236,496.8 614,109.7 * 0.0 0.0
     NUMBER OF TRADES 207 324 247 73 * 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
AUGUST Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA/UMBS
AVERAGE PRICE 100.3 101.7 102.8 * 0.0 0.0 0.0
Weighted Avg. Price 100.4 101.7 102.9 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.3 101.6 102.8 * 0.0 0.0 0.0
2nd Quartile Price 100.3 101.6 102.8 * 0.0 0.0 0.0
3rd Quartile Price 100.3 101.7 102.8 * 0.0 0.0 0.0
4th Quartile Price 100.4 101.7 102.9 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.4 101.7 102.9 * 0.0 0.0 0.0
Standard Deviation 0.1 0.0 0.0 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 190,000.0 474,800.0 335,350.0 * 0.0 0.0 0.0
     NUMBER OF TRADES 25 78 22 * 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
SEPTEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA/UMBS
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

JUNE Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA/UMBS
AVERAGE PRICE 0.0 0.0 0.0 * 0.0 * 0.0
Weighted Avg. Price 0.0 0.0 0.0 * 0.0 * 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 * 0.0 * 0.0
2nd Quartile Price 0.0 0.0 0.0 * 0.0 * 0.0
3rd Quartile Price 0.0 0.0 0.0 * 0.0 * 0.0
4th Quartile Price 0.0 0.0 0.0 * 0.0 * 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 * 0.0 * 0.0
Standard Deviation 0.0 0.0 0.0 * 0.0 * 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 * 0.0 * 0.0
     NUMBER OF TRADES 0 0 0 * 0 * 0
FHLMC
AVERAGE PRICE 0.0 100.8 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 100.8 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 100.8 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 * 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 * 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 * 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 100.8 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.5 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 30,000.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 6 0 0 0 0 0
GNMA
AVERAGE PRICE * 101.7 102.9 103.5 104.2 104.3 106.7
Weighted Avg. Price * 101.7 102.9 103.5 104.1 104.3 107.8
Avg. Price Bottom 5 Trades * 101.5 102.9 103.4 104.0 104.2 105.9
2nd Quartile Price * 101.6 102.9 103.4 104.0 104.2 106.3
3rd Quartile Price * 101.6 102.9 103.5 104.1 104.2 106.4
4th Quartile Price * 101.7 103.0 103.5 104.1 104.3 108.4
Avg. Price Top 5 Trades * 102.1 103.0 104.6 106.8 105.3 107.2
Standard Deviation * 0.3 0.0 0.2 0.5 0.3 1.3
     VOLUME OF TRADES (000'S) * 2,097,552.1 6,925,479.0 7,879,618.2 3,723,527.5 2,057,380.4 43,691.1
     NUMBER OF TRADES * 94 221 281 230 100 10
JULY Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA/UMBS
AVERAGE PRICE 98.8 100.3 102.0 103.2 104.4 105.4 106.7
Weighted Avg. Price 98.8 100.3 102.0 103.2 104.4 105.4 106.6
Avg. Price Bottom 5 Trades 98.7 100.2 101.9 103.1 104.3 105.3 106.7
2nd Quartile Price 98.7 100.3 101.9 103.2 104.3 105.3 *
3rd Quartile Price 98.8 100.3 102.0 103.2 104.4 105.4 *
4th Quartile Price 98.8 100.4 102.0 103.2 104.4 105.4 *
Avg. Price Top 5 Trades 98.8 100.5 102.3 103.3 104.7 105.4 106.7
Standard Deviation 0.1 0.1 0.0 0.0 0.1 0.0 0.0
     VOLUME OF TRADES (000'S) 113,600.0 14,174,077.2 32,051,633.2 29,248,364.0 10,687,344.5 503,338.6 15,725.0
     NUMBER OF TRADES 21 916 1,340 1,137 508 68 5
FHLMC
AVERAGE PRICE 0.0 * * * 0.0 0.0 0.0
Weighted Avg. Price 0.0 * * * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * * * 0.0 0.0 0.0
2nd Quartile Price 0.0 * * * 0.0 0.0 0.0
3rd Quartile Price 0.0 * * * 0.0 0.0 0.0
4th Quartile Price 0.0 * * * 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 * * * 0.0 0.0 0.0
Standard Deviation 0.0 * * * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * * * 0.0 0.0 0.0
     NUMBER OF TRADES 0 * * * 0 0 0
GNMA
AVERAGE PRICE 99.7 101.5 102.9 103.4 104.0 104.3 106.5
Weighted Avg. Price 99.6 101.5 102.8 103.4 104.0 104.3 107.3
Avg. Price Bottom 5 Trades 99.7 101.4 102.8 103.4 103.9 104.2 106.5
2nd Quartile Price * 101.5 102.8 103.4 104.0 104.3 *
3rd Quartile Price * 101.5 102.8 103.4 104.0 104.3 *
4th Quartile Price * 101.5 102.9 103.4 104.0 104.3 *
Avg. Price Top 5 Trades 99.7 101.9 103.0 103.9 104.9 104.7 106.5
Standard Deviation 0.2 0.2 0.0 0.1 0.2 0.1 1.3
     VOLUME OF TRADES (000'S) 83,687.6 2,747,951.9 7,520,497.0 12,029,189.4 6,376,898.6 2,067,463.8 52,765.0
     NUMBER OF TRADES 5 129 301 302 238 80 10
AUGUST Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA/UMBS
AVERAGE PRICE 98.7 100.2 101.9 103.2 104.4 * 0.0
Weighted Avg. Price 98.7 100.3 102.0 103.2 104.4 * 0.0
Avg. Price Bottom 5 Trades 98.7 100.2 101.8 103.1 104.3 * 0.0
2nd Quartile Price * 100.2 101.9 103.1 104.3 * 0.0
3rd Quartile Price * 100.2 101.9 103.2 104.3 * 0.0
4th Quartile Price * 100.3 101.9 103.2 104.4 * 0.0
Avg. Price Top 5 Trades 98.7 100.4 102.0 103.3 104.4 * 0.0
Standard Deviation 0.1 0.0 0.0 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 63,500.0 3,792,360.0 8,542,829.0 1,708,186.0 2,240,250.0 * 0.0
     NUMBER OF TRADES 6 191 181 63 27 * 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 101.4 102.8 103.4 104.0 104.4 *
Weighted Avg. Price 0.0 101.4 102.8 103.4 103.9 104.4 *
Avg. Price Bottom 5 Trades 0.0 101.4 102.7 103.4 103.9 104.3 *
2nd Quartile Price 0.0 101.4 102.7 103.4 103.9 104.4 *
3rd Quartile Price 0.0 101.4 102.8 103.4 104.0 104.4 *
4th Quartile Price 0.0 101.4 102.8 103.4 104.0 104.5 *
Avg. Price Top 5 Trades 0.0 101.5 102.8 103.4 104.0 104.4 *
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.1 *
     VOLUME OF TRADES (000'S) 0.0 970,073.0 1,320,250.0 989,900.0 972,000.0 15,050.0 *
     NUMBER OF TRADES 0 148 165 92 37 8 *
SEPTEMBER Settlement
METRIC COUPON
<= 2.5 3 3.5 4 4.5 5 > 5
FNMA/UMBS
AVERAGE PRICE * 100.2 101.9 103.1 104.4 * 0.0
Weighted Avg. Price * 100.2 101.9 103.2 104.4 * 0.0
Avg. Price Bottom 5 Trades * 100.1 101.8 103.1 104.4 * 0.0
2nd Quartile Price * 100.2 101.8 103.1 * * 0.0
3rd Quartile Price * 100.2 101.8 103.1 * * 0.0
4th Quartile Price * 100.2 101.9 103.2 * * 0.0
Avg. Price Top 5 Trades * 100.3 102.0 103.2 104.4 * 0.0
Standard Deviation * 0.0 0.0 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) * 1,247,200.0 1,005,550.0 383,900.0 147,000.0 * 0.0
     NUMBER OF TRADES * 164 117 28 5 * 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.